This paper investigates the Euro-area business cycle using a multivariate autoregressive time series model with cointegration. The cointegration restrictions help to identify permanent and transitory shocks which form the stochastic part of trend and cyclical GDP, respectively. The identification allows for a historical decomposition of Euro-area GDP into trend and cycle. Further, the relative importance ...
"[...] in many situations a decision does not have to be made immediately, but can be delayed until additional information has been acquired. Sequential analysis seems particularly applicable to the problem of predicting turning points in the business cycle" (Palash and Radecki, 1985). Elaborating on this idea, we propose a new approach to predict cyclical turning points in the Euro-zone using the ...
Most of the Euro-zone economic short-term indicators are computed through aggregation from Member States data. The seasonally adjusted figures can be calculated by seasonally adjusting the aggregate (direct approach) or aggregating the seasonally adjusted national data (indirect approach). Statistical and practical considerations to choose the right strategy are given in the paper. An application to ...
In this paper, we investigate the impact of the adjustment for seasonal effects with different seasonal adjustment methods, the possible pre-treatment for calendar effects and the different order of aggregation and adjustment for the determination of the turning points of the European business cycle. The European business cycle is represented first by the GDP series (referring to the classical definition ...
Der Artikel untersucht die Indikatoreigenschaften der Geldmenge für die Inflation. Unter Verwendung eines P*-Modells hat Svensson (2000) theoretisch gezeigt, dass die Beziehung zwischen beiden Größen recht schwach ausgeprägt ist. Die vorliegende Studie präsentiert empirische Evidenz für die Beziehung im Euroraum. Dabei wird Svenssons Ansatz durch die Berücksichtigung verschiedener Schocks sowie unter ...
One major shortcoming in Euroland's National Income and Product Accounts (NIPA) consists in the missing distinction between exports (imports) on the one hand and dispatches (arrivals) between the member states on the other hand. In this paper "true" NIPA trade is derived from official figures. The observation period only starts in 1989: 1 due to the availability of Eurostat export volume indices. Cointegration ...